ON CONTINUOUS MARTINGALES

From MaRDI portal
Publication:5601886

DOI10.1073/pnas.53.5.913zbMath0203.17504OpenAlexW2029976291WikidataQ34455105 ScholiaQ34455105MaRDI QIDQ5601886

Lester E. Dubins, Gideon Schwarz

Publication date: 1965

Published in: Proceedings of the National Academy of Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1073/pnas.53.5.913



Related Items

Potential Processes, A bilevel programming approach to double optimal stopping, No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications, Forecasting point and continuous processes: Prequential analysis, Embedding and asymptotic expansions for martingales, The hitting characteristics of a strong Markov process, with applications to continuous martingales in 𝑅ⁿ, Application du calcul stochastique a i'etude de processus de markov reguliers sur [0,1], Random time change and an integral representation for marked stopping times, Variation and share-weighted variation swaps on time-changed Lévy processes, A maximal inequality for fractional Brownian motions, Affine term structure models: A time‐change approach with perfect fit to market curves, A fundamental property of Markov processes with an application to equivalence under time changes, The Kolmogorov Inequality for the Maximum of the Sum of Random Variables and Its Martingale Analogues, Analysis or Probability? Eight Letters Between Børge Jessen and Paul Lévy, Central limit theorems for martingales. I: Continuous limits, Hedging variance options on continuous semimartingales, A Generalized Central Limit Conjecture for Convex Bodies, When is a stochastic integral a time change of a diffusion?, ANOVA for diffusions and Itō processes, Financial options and statistical prediction intervals, Stochastic sequential reduction of commutative Hamiltonians, On a Subclass of Square Integrable Martingales, Extensions of Black-Scholes processes and Benford's law, Some time change representations of stable integrals, via predictable transformations of local martingales, Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach, Continuous-time trading and the emergence of probability, Variance swaps on time-changed Lévy processes, On the Chacon-Jamison theorem, Limit properties of continuous self-exciting processes, THE DEPENDENCE STRUCTURE OF RUNNING MAXIMA AND MINIMA: RESULTS AND OPTION PRICING APPLICATIONS, An Improved Test for Continuous Local Martingales, Stochastic integral representation of some martingales, MULTI-ASSET STOCHASTIC LOCAL VARIANCE CONTRACTS, TESTING FOR CONTINUOUS LOCAL MARTINGALES USING THE CROSSING TREE, Fluctuations for the bipartite Sherrington-Kirkpatrick model, Stochastic differential equations for sticky Brownian motion, On extremal solutions of martingale problems, Continuous-time trading and the emergence of randomness, A representation theorem for smooth Brownian martingales, Combining statistical intervals and market prices: the worst case state price distribution, [https://portal.mardi4nfdi.de/wiki/Publication:3923330 Generalised arc length for brownian motion and L�vy processes], Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times, On stochastic control for time changed Lévy dynamics, SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION, Interview with Andreas Daniel Matt: real-time mathematics, Estimates for the diameter of a martingale, Étude asymptotique de certains mouvements browniens complexes avec drift, A maximal inequality for upcrossings of a continuous martingale